picasso: Pathwise Calibrated Sparse Shooting Algorithm

Computationally efficient tools for fitting generalized linear model with convex or non-convex penalty. Users can enjoy the superior statistical property of non-convex penalty such as SCAD and MCP which has significantly less estimation error and overfitting compared to convex penalty such as lasso and ridge. Computation is handled by multi-stage convex relaxation and the PathwIse CAlibrated Sparse Shooting algOrithm (PICASSO) which exploits warm start initialization, active set updating, and strong rule for coordinate preselection to boost computation, and attains a linear convergence to a unique sparse local optimum with optimal statistical properties. The computation is memory-optimized using the sparse matrix output.

AuthorJason Ge, Xingguo Li, Mengdi Wang, Tong Zhang, Han Liu and Tuo Zhao
Date of publication2016-10-06 20:14:19
MaintainerJason Ge <jiange@princeton.edu>
LicenseGPL-2
Version0.5.4

View on CRAN

Files

picasso
picasso/inst
picasso/inst/doc
picasso/inst/doc/vignette.Rnw
picasso/inst/doc/PICASSO.pdf
picasso/inst/doc/vignette.pdf
picasso/src
picasso/src/IRLS_solver.c
picasso/src/mathutils.c
picasso/src/mathutils.h
picasso/src/picasso_gaussian_cov.c
picasso/src/picasso_poisson.c
picasso/src/IRLS_solver.h
picasso/src/picasso_gaussian_naive.c
picasso/src/picasso_logit.c
picasso/NAMESPACE
picasso/data
picasso/data/eyedata.rda
picasso/data/datalist
picasso/R
picasso/R/picasso.R picasso/R/poisson_solver.R picasso/R/picasso.poisson.R picasso/R/logit_solver.R picasso/R/picasso.gaussian.R picasso/R/picasso.logit.R picasso/R/gaussian_solver.R
picasso/vignettes
picasso/vignettes/vignette.Rnw
picasso/vignettes/PICASSO.pdf
picasso/MD5
picasso/build
picasso/build/vignette.rds
picasso/DESCRIPTION
picasso/man
picasso/man/print.poisson.Rd picasso/man/coef.logit.Rd picasso/man/picasso.Rd picasso/man/coef.poisson.Rd picasso/man/print.gaussian.Rd picasso/man/coef.gaussian.Rd picasso/man/eyedata.Rd picasso/man/predict.poisson.Rd picasso/man/predict.gaussian.Rd picasso/man/print.logit.Rd picasso/man/predict.logit.Rd picasso/man/plot.logit.Rd picasso/man/plot.gaussian.Rd picasso/man/plot.poisson.Rd picasso/man/picasso-package.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.